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Study of the group properties of the Sircar-Papanicolaou model in case of a nonlinear utility function

<p>In this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effect of dynamic hedging strategies of pro-gramme traders. Using the Lie group analysis we describe the symmetrygroup of the main equation of the concerned model. We reduce this par-tial differential equation to the ordinary differential equations by usingcorresponding invariants of the subgroups of the main symmetry group.</p>

Identiferoai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-3251
Date January 2009
CreatorsPetrova, Liudmila, Ivkina, Liubov
PublisherHalmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE)
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, text

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